Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple m1 of the 'cushion', the difference between the current portfolio value and the guaranteed...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a , which needs not coincide with the unknown actual innovation density . The validity of these tests, in terms of exact finite sample size, is guaranteed,...

This article proposes an overview of the recent developments relating to panel unit root tests. After a brief review of the first generation panel unit root tests, this paper focuses on the tests belonging to the second generation. The latter category of tests is characterized by the rejection...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a , which needs not coincide with the unknown actual innovation density . The validity of these tests, in terms of exact finite sample size, is guaranteed,...